Cholesky Decomposition of an Inverse Covariance Matrix

Interpreting the Cholesky factor of a Gaussian precision matrix.

Published

15 January 2025

(Rue & Held, 2010)

  1. Rue, H., & Held, L. (2010). Discrete Spatial Variation. In Handbook of Spatial Statistics (pp. 171–200). https://doi.org/10.1201/9781420072884-c12